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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 8

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
10:30      8.45%  8.07%   4.45%  4.16%   2.59%  2.43%   22.93%  18.60%
FRI OPEN   8.41%  8.16%   4.35%  4.12%   2.40%  2.44%   23.45%  17.62%
THU 3:00   8.26%  8.12%   4.36%  4.12%   2.44%  2.41%   20.13%  17.50%
THU OPEN   8.11%  7.94%   4.20%  4.15%   2.36%  2.39%   16.00%  15.97%
WED 3:00   8.35%  8.03%   4.30%  4.18%   2.35%  2.42%   17.92%  17.34%
WED OPEN   8.22%  8.11%   4.21%  4.23%   2.46%  2.43%   19.05%  18.05%
TUE 3:00   7.58%  7.86%   4.18%  4.12%   2.32%  2.40%   18.51%  17.88%
TUE OPEN   7.31%  7.72%   3.88%  4.05%   2.24%  2.37%   13.79%  16.49%
FRI 3:00   6.49%  7.51%   3.42%  3.91%   1.95%  2.29%   13.40%  14.85%
FRI OPEN   7.06%  7.78%   3.63%  4.02%   2.19%  2.36%   13.20%  17.40%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C   97,931   -6,332   125.00 P   64,267  -2,382
DEC17 10Y NOTE  129.00 C   90,449     -409   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   29,401       +5   116.00 P   26,518    UNCH
DEC17 5Y NOTE   118.25 C    9,073     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  338,175   +2,000    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  119,004   -9,500    98.50 P  162,689  +1,372
SEP18 1Y-MIDC    98.37 C  106,338     -875    98.12 P  211,382    UNCH
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,481     UNCH    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.50 C   39,485     -132   126.50 P   50,947  -1,386
OCT17 10Y NOTE  127.00 C   89,520     -159   127.00 P   30,559  +5,337
DEC17 10Y NOTE  126.50 C   12,498     -331   126.50 P   25,474  +2,647
DEC17 10Y NOTE  127.00 C   21,636     -116   127.00 P   20,594  +3,066
OCT17 5Y NOTE   118.25 C   10,393       +8   118.25 P   14,888    +702
OCT17 5Y NOTE   118.50 C   16,343     UNCH   118.50 P   10,085  +1,943
DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,369      +4
DEC17 5Y NOTE   118.50 C    5,412     UNCH   118.50 P   12,203    +323
SEP17 EURODLR    98.62 C  253,322     UNCH    98.62 P  264,870  -2,500
SEP17 EURODLR    98.75 C  338,175   +2,000    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   37,992   +1,250    98.50 P  162,689  +1,372
OCT17 EURODLR    98.62 C  119,004   -9,500    98.62 P   31,313    +600
SEP18 1Y-MIDC    98.37 C  106,338     -875    98.37 P   76,989    -578
SEP18 1Y-MIDC    98.50 C   74,371   -8,196    98.50 P   14,954    -805
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,840    UNCH
SEP19 2Y-MIDC    98.12 C  116,023     UNCH    98.12 P   79,899    +153  
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884    UNCH
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,251    -400
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.72 (91,501 PUTS VS. 127,047 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.06 (50,112 PUTS VS. 47,099 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 2.78 (26,541 PUTS VS. 9,580 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 0.22 (9,172 PUTS VS. 40,931 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.66 (5,000 PUTS VS. 7,550 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 42.1 (44,249 PUTS VS. 1,050 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.41 (14,725 PUTS VS. 35,656 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.37 (8,300 PUTS VS. 6,360 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.89 (9,868 PUTS VS. 11,052 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT PRIOR 
SESSION'S DATA.)
Swaption BP/Vol Via Bloomberg:
Time (ET)    3M/2Y   1M/10Y    3M/5Y   3M/10Y   2Y/10Y    5Y/5Y
10:30        39.71    62.00    58.35    64.59    74.56    79.21
Fri Open     40.12    62.27    58.29    64.48    74.68    79.20
Thu 3:00     39.92    61.11    57.62    63.82    74.62    79.17
Thu Open     40.03    60.37    57.44    63.79    74.54    79.16
Wed 3:00     40.07    62.77    57.44    63.94    74.69    79.22
Wed Open     40.25    64.26    58.12    64.48    74.60    79.26
Tue 3:00     39.72    63.35    57.78    64.13    74.62    79.22
Tue Open     38.71    57.16    55.85    62.05    74.19    79.15
Fri 3:00     38.43    55.64    55.40    61.60    74.16    79.17
Fri Open     39.14    59.07    56.71    62.59    74.53    79.37
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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